Multi-factor Risk-return Relationships
This paper derives three multi-factor risk-return relationships each of which employs macro-economic variables in presenting the underlying factors that influence security returns. The first relationship holds if the underlying portfolio lies on the expected return-standard deviation efficient frontier, the second is valid when the underlying portfolio lies inside the efficient frontier and the third characterises security markets in which no arbitrage opportunities are present. An attempt is also made to appraise critically previous multi-factor risk-return relationships which rely on an expected return-standard deviation approach. Copyright Blackwell Publishers Ltd 1997.
Year of publication: |
1997-04
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Authors: | Diacogiannis, George P. ; Diamandis, Panayiotis F. |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 24.1997-04, 3, p. 559-570
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Publisher: |
Wiley Blackwell |
Saved in:
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